Darwin Portfolio Review: 20 May 2022

Somewhere in the Caribbean

The Darwin Portfolio is a “Core” portfolio that uses risk parity allocation to weight holdings in the portfolio. An aggressive 10% volatility is used to calculate the weightings and 25% leverage is allowed. A volatility fund is used to add a little more diversification to the portfolio – although this is not included in the volatility weighting calculations.

Performance to date looks like this:

or, in stacked chart format:

With market weakness over the past ~6 months, and this portfolio only started in June 2021 the IRR of this portfolio is running at -18%:

Checking on current risk parity calculations we see the following allocation requirements:

that has required me to sell 10 shares of VNQ and to add 6 shares of GLD. The portfolio is therefore tilted towards higher allocations to Gold and Bonds.

David